large unexpected shocks. Markets with negative expectation feedback (strategic substitutes) quickly converge to the new … fundamental, while markets with positive expectation feedback (strategic complements) do not converge, but show under-reaction in …

We analyse daily lead-lag patterns in US equity and credit default swap (CDS) returns. We first document that equity … arises predominantly in response to <I>positive</I> (instead of negative) equity market news. We provide an explanation for …

between equity and credit default swaps (CDSs) of companies. We find that capital structure arbitrage provides an attractive …

paper uses futures position data in nine different markets of the Commodity Futures Trading Commission (CFTC) to provide a … results are found to be robust to alternative models and methods of estimation. When a test of causality-in-variance is used … to analyse if volatility among small traders spills over into spot markets, it is found that spillovers occur only with …

experimental construct the 2009 CCP reform in three Nordic markets. We find that, relative to other European economies, these … countries experience market-adjusted equity returns of -1.08% per month during a 16-month announcement window. We also find … counterparties and,consistent with the margin-CAPM, more pronounced for stocks with higher margins. Our results suggest that …

A number of recent theoretical studies have explored trading in fragmented markets, e.g. Biais etal. (2000), a … phenomenon increasingly witnessed in modern markets. The key assumptiongenerating the results is that there is at least one … liquidity demander exploiting access to allmarkets by optimally splitting orders across markets. This paper seeks to test this …